Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 19 17 18
Score 6.96 5.15 7.54
Market Cap (Millions USD) 7024.76 6817.25 6604.77
Predicted Beta 0.81 0.8 0.79
Idiosyncratic Volatility 0.75 0.98 0.99

Annualized return and volatility

IUSG
Annualized Return 0.0501
Annualized Std Dev 0.1975
Annualized Sharpe (Rf=0%) 0.2539

Row

Daily Return Statistics

IUSG
Observations 4966.0000
NAs 148.0000
Minimum -0.0915
Quartile 1 -0.0048
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.0999
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0124
Skewness -0.0944
Kurtosis 6.8751

Downside Risk

IUSG
Semi Deviation 0.0090
Gain Deviation 0.0089
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.6335
Historical VaR (95%) -0.0199
Historical ES (95%) -0.0307
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0305
From Trough To Depth Length To Trough Recovery
2000-09-05 2009-03-09 2013-08-01 -0.6335 3301 2178 1123
2018-10-02 2018-12-24 2019-04-23 -0.2069 141 59 82
2015-07-21 2016-02-11 2016-07-11 -0.1484 250 146 104
2018-01-29 2018-02-08 2018-06-05 -0.0987 90 9 81
2014-09-03 2014-10-15 2014-10-31 -0.0729 43 31 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IUSG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA -0.2 1.5 0.0 0.0 2.4 0.0 3.8
2001 -1.4 -2.5 0.0 1.6 0.6 0.0 1.0 0.0 -0.2 1.4 0.0 0.0 0.5
2002 -0.7 2.2 -0.5 0.2 0.0 -1.5 -1.3 0.0 3.2 1.9 0.0 0.0 3.4
2003 0.0 0.0 0.5 0.1 0.0 0.4 -1.0 0.0 2.2 0.0 1.2 0.0 3.3
2004 0.0 0.9 0.0 0.0 -0.2 -1.4 0.0 1.2 1.7 -0.3 1.7 0.0 3.5
2005 0.5 0.5 -0.7 0.0 0.9 0.2 0.1 -0.8 0.0 0.3 1.3 0.0 2.4
2006 0.5 0.7 0.0 -0.5 1.6 0.0 -0.9 0.5 0.0 -0.9 -0.6 0.0 0.4
2007 0.5 -0.4 0.0 0.2 0.2 0.0 0.6 0.0 1.4 -2.0 0.0 0.0 0.4
2008 1.5 0.0 3.1 1.9 0.0 0.3 -0.7 0.0 -1.2 0.0 -8.1 0.0 -3.5
2009 0.0 0.0 1.5 0.4 3.1 0.5 0.0 -1.8 -2.3 0.0 1.3 0.0 2.6
2010 1.0 1.1 0.4 0.0 -1.1 -0.1 0.0 2.8 0.2 0.1 2.2 0.0 6.8
2011 1.6 -1.6 0.4 0.0 -2.2 1.4 -0.5 -1.2 0.0 -2.5 0.0 0.0 -4.6
2012 0.9 0.8 0.0 0.3 -2.7 0.0 -0.5 0.0 0.1 1.3 0.0 0.0 0.1
2013 0.9 0.3 -0.6 -0.9 0.0 1.1 1.2 0.0 1.0 0.1 0.0 0.0 3.2
2014 0.0 0.0 1.1 0.2 0.0 1.0 -0.2 0.0 -1.5 0.0 -1.1 0.0 -0.5
2015 0.0 0.0 -0.7 1.2 0.0 0.8 0.0 -2.7 0.3 0.0 0.9 0.0 -0.1
2016 0.3 2.4 0.8 0.0 0.3 0.5 0.2 0.1 0.0 -0.8 -0.9 0.0 2.9
2017 0.2 1.3 0.0 0.4 0.6 0.0 0.1 0.1 0.0 0.0 -0.3 0.0 2.4
2018 -0.3 -1.4 0.0 0.7 1.3 0.0 0.3 0.0 0.3 1.2 0.0 0.0 2.0
2019 0.0 0.8 1.0 -0.9 0.0 0.8 -0.5 0.0 -1.0 0.6 0.0 0.1 0.9

Row

Rolling Performance Chart

Snail Trail Chart